Title :
An option-based empirical investigation of Chinese corporate liquidity value
Author :
Du, Jinmin ; Zheng, Lingyun
Author_Institution :
Inst. of Finance Res., Jinan Univ., Guangzhou
Abstract :
Corporate liquidity pricing is a new topic. With the discussion of the essence of liquidity, this paper established an exchange-option-based corporate liquidity pricing model which combines the investment option and insurance option taking into considerations of their execution probabilities. And we apply the model to investigate the liquidity value of Chinese firms with the data of the listed companies in Shanghai stock market.
Keywords :
corporate modelling; pricing; Chinese corporate liquidity value; Shanghai stock market; pricing model; Costs; Decision making; Finance; Insurance; Investments; Neural networks; Pricing; Signal processing; Stochastic processes; Stock markets; corporate liquidity; exchange option; insurance option; investment option;
Conference_Titel :
Neural Networks and Signal Processing, 2008 International Conference on
Conference_Location :
Nanjing
Print_ISBN :
978-1-4244-2310-1
Electronic_ISBN :
978-1-4244-2311-8
DOI :
10.1109/ICNNSP.2008.4590305
